Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
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Model Simulation Results (Jan 1987 - Apr 2021) Save

Tactical asset allocation model results from Jan 1987 to Apr 2021 are based on the seasonal model. The tactical asset allocation model is invested in the market outside the May to October period each year, otherwise the portfolio is invested in the out-of-market asset. The time period was constrained by the available data for Vanguard Long-Term Treasury Inv (VUSTX) [Jun 1986 - Apr 2021].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Seasonal Model$10,000$823,73313.71%12.43%45.19%-12.45%-31.84% 0.861.450.50
Buy & Hold Portfolio$10,000$352,91710.94%15.12%37.45%-37.02%-50.97% 0.570.820.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Seasonal Model12.95%11.80%23.13%13.32%12.45%12.53%13.71%18.24%15.23%
Buy & Hold Portfolio12.95%11.80%45.81%18.52%17.27%14.01%10.94%18.53%14.99%
Trailing annualized return and volatility are for full months ending in April 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to April
  • The results for the buy-and-hold comparison portfolios assume annual rebalancing
  • The results for the tactical asset allocation model assume monthly rebalancing trades
  • Risk free returns (out of market) are based on 3-month treasury bill returns or the selected asset
  • Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationSeasonal ModelBuy & Hold PortfolioVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
19874.43%17.38%$11,7384.71%$10,4714.71%-2.92%
19884.42%14.83%$13,47916.22%$12,16916.22%9.15%
19894.65%32.61%$17,87431.36%$15,98631.36%17.93%
19906.11%10.02%$19,666-3.32%$15,454-3.32%5.78%
19913.06%31.35%$25,83130.22%$20,12530.22%17.43%
19922.90%13.52%$29,3227.42%$21,6197.42%7.41%
19932.75%13.54%$33,2919.89%$23,7579.89%16.79%
19942.67%-7.11%$30,9251.18%$24,0361.18%-7.04%
19952.54%37.83%$42,62437.45%$33,03737.45%30.09%
19963.32%20.73%$51,46022.88%$40,59522.88%-1.26%
19971.70%28.99%$66,38133.19%$54,06933.19%13.90%
19981.61%42.52%$94,60728.62%$69,54128.62%13.05%
19992.68%14.62%$108,44121.07%$84,19321.07%-8.66%
20003.39%-2.45%$105,781-9.06%$76,568-9.06%19.72%
20011.55%16.71%$123,452-12.02%$67,362-12.02%4.31%
20022.38%3.95%$128,325-22.15%$52,445-22.15%16.67%
20031.88%9.91%$141,04128.50%$67,39328.50%2.68%
20043.26%16.05%$163,68010.74%$74,63110.74%7.12%
20053.42%-0.61%$162,6894.77%$78,1944.77%6.61%
20062.54%17.59%$191,30615.64%$90,42515.64%1.74%
20074.08%3.07%$197,1715.39%$95,2965.39%9.24%
20080.09%-12.45%$172,631-37.02%$60,016-37.02%22.52%
20092.72%6.35%$183,59426.49%$75,91226.49%-12.05%
20101.50%26.40%$232,06714.91%$87,23414.91%8.93%
20112.96%34.08%$311,1581.97%$88,9491.97%29.28%
20121.74%20.11%$373,71715.82%$103,02415.82%3.47%
20131.50%6.84%$399,27132.18%$136,17332.18%-13.03%
20140.76%13.53%$453,31213.51%$154,56813.51%25.28%
20150.73%-0.63%$450,4731.25%$156,4981.25%-1.54%
20162.07%10.12%$496,04711.82%$174,99111.82%1.20%
20172.11%14.61%$568,49921.67%$212,90721.67%8.58%
20181.91%-10.60%$508,215-4.52%$203,275-4.52%-1.90%
20192.29%45.19%$737,88831.33%$266,95531.33%14.13%
20201.36%-0.15%$736,79218.25%$315,66818.25%18.29%
20210.98%11.80%$823,73311.80%$352,91711.80%-11.23%
Annual return for 2021 is from 01/01/2021 to 04/30/2021
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthSeasonal ModelBuy & Hold PortfolioVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
1987113.27%$11,32713.27%$11,32713.27%1.30%
198723.97%$11,7763.97%$11,7763.97%1.07%
198732.89%$12,1172.89%$12,1172.89%-1.58%
19874-1.03%$11,992-1.03%$11,992-1.03%-4.80%
19875-1.50%$11,8121.04%$12,1171.04%-1.50%
198761.44%$11,9835.02%$12,7255.02%1.44%
19877-1.11%$11,8494.91%$13,3514.91%-1.11%
19878-1.56%$11,6653.84%$13,8633.84%-1.56%
19879-3.72%$11,231-2.29%$13,547-2.29%-3.72%
1987105.84%$11,887-21.73%$10,603-21.73%5.84%
198711-8.19%$10,914-8.19%$9,735-8.19%0.47%
1987127.55%$11,7387.55%$10,4717.55%1.60%
198814.17%$12,2284.17%$10,9084.17%4.65%
198824.59%$12,7904.59%$11,4084.59%1.16%
19883-3.04%$12,401-3.04%$11,061-3.04%-2.24%
198841.01%$12,5261.01%$11,1731.01%-1.14%
19885-1.59%$12,3270.81%$11,2640.81%-1.59%
198864.09%$12,8314.56%$11,7774.56%4.09%
19887-1.90%$12,587-0.37%$11,734-0.37%-1.90%
198880.40%$12,638-3.40%$11,335-3.40%0.40%
198893.86%$13,1264.26%$11,8174.26%3.86%
1988102.45%$13,4472.73%$12,1402.73%2.45%
198811-1.40%$13,258-1.40%$11,970-1.40%-1.88%
1988121.66%$13,4791.66%$12,1691.66%1.29%
198917.32%$14,4667.32%$13,0607.32%2.05%
19892-2.47%$14,109-2.47%$12,737-2.47%-1.71%
198932.26%$14,4272.26%$13,0252.26%0.86%
198945.18%$15,1755.18%$13,7015.18%2.59%
198953.11%$15,6474.04%$14,2534.04%3.11%
198966.07%$16,597-0.59%$14,170-0.59%6.07%
198972.06%$16,9409.01%$15,4469.01%2.06%
19898-2.90%$16,4481.86%$15,7331.86%-2.90%
198990.15%$16,472-0.40%$15,670-0.40%0.15%
1989103.88%$17,111-2.34%$15,303-2.34%3.88%
1989112.04%$17,4592.04%$15,6152.04%0.83%
1989122.38%$17,8742.38%$15,9862.38%-0.05%
19901-6.72%$16,673-6.72%$14,912-6.72%-3.67%
199021.27%$16,8861.27%$15,1021.27%-0.32%
199032.61%$17,3262.61%$15,4952.61%-0.26%
19904-2.50%$16,893-2.50%$15,108-2.50%-2.84%
199054.49%$17,6519.69%$16,5729.69%4.49%
199062.28%$18,055-0.66%$16,463-0.66%2.28%
199070.70%$18,180-0.35%$16,405-0.35%0.70%
19908-4.25%$17,408-9.03%$14,923-9.03%-4.25%
199091.15%$17,608-4.89%$14,194-4.89%1.15%
1990102.15%$17,988-0.41%$14,135-0.41%2.15%
1990116.44%$19,1466.44%$15,0466.44%4.60%
1990122.72%$19,6662.72%$15,4542.72%2.05%
199114.32%$20,5164.32%$16,1224.32%1.09%
199127.15%$21,9827.15%$17,2757.15%0.50%
199132.41%$22,5112.41%$17,6902.41%0.27%
199140.20%$22,5550.20%$17,7250.20%1.28%
19915-0.14%$22,5234.27%$18,4824.27%-0.14%
19916-0.78%$22,346-4.56%$17,640-4.56%-0.78%
199171.53%$22,6884.63%$18,4564.63%1.53%
199183.49%$23,4792.33%$18,8862.33%3.49%
199192.95%$24,172-1.67%$18,571-1.67%2.95%
199110-0.08%$24,1541.33%$18,8181.33%-0.08%
199111-4.01%$23,185-4.01%$18,063-4.01%0.02%
19911211.41%$25,83111.41%$20,12511.41%6.26%
19921-1.88%$25,345-1.88%$19,746-1.88%-3.21%
199221.24%$25,6601.24%$19,9921.24%0.64%
19923-1.93%$25,166-1.93%$19,607-1.93%-1.10%
199242.91%$25,8992.91%$20,1782.91%-0.07%
199252.70%$26,5990.48%$20,2760.48%2.70%
199261.12%$26,896-1.49%$19,973-1.49%1.12%
199274.02%$27,9774.04%$20,7814.04%4.02%
199280.71%$28,174-2.07%$20,351-2.07%0.71%
199291.36%$28,5571.17%$20,5891.17%1.36%
199210-1.89%$28,0180.33%$20,6570.33%-1.89%
1992113.40%$28,9713.40%$21,3603.40%0.50%
1992121.21%$29,3221.21%$21,6191.21%2.63%
199310.81%$29,5580.81%$21,7930.81%2.85%
199321.36%$29,9591.36%$22,0881.36%3.20%
199332.11%$30,5912.11%$22,5542.11%0.19%
19934-2.42%$29,849-2.42%$22,007-2.42%0.76%
199350.38%$29,9632.65%$22,5912.65%0.38%
199364.17%$31,2110.27%$22,6510.27%4.17%
199371.39%$31,645-0.42%$22,555-0.42%1.39%
199383.99%$32,9083.79%$23,4093.79%3.99%
199390.33%$33,016-0.79%$23,223-0.79%0.33%
1993100.62%$33,2192.08%$23,7062.08%0.62%
199311-1.00%$32,888-1.00%$23,470-1.00%-2.48%
1993121.22%$33,2911.22%$23,7571.22%0.42%
199413.38%$34,4153.38%$24,5593.38%2.23%
19942-2.71%$33,481-2.71%$23,893-2.71%-3.99%
19943-4.39%$32,012-4.39%$22,844-4.39%-3.82%
199441.29%$32,4251.29%$23,1391.29%-1.29%
19945-0.47%$32,2721.63%$23,5151.63%-0.47%
19946-0.81%$32,011-2.47%$22,935-2.47%-0.81%
199472.94%$32,9513.28%$23,6863.28%2.94%
19948-0.67%$32,7314.08%$24,6524.08%-0.67%
19949-3.00%$31,749-2.45%$24,049-2.45%-3.00%
199410-0.36%$31,6362.25%$24,5892.25%-0.36%
199411-3.65%$30,480-3.65%$23,690-3.65%0.62%
1994121.46%$30,9251.46%$24,0361.46%1.62%
199512.58%$31,7242.58%$24,6572.58%2.62%
199523.88%$32,9553.88%$25,6143.88%2.73%
199532.95%$33,9282.95%$26,3702.95%0.72%
199542.94%$34,9262.94%$27,1462.94%1.65%
199557.52%$37,5533.95%$28,2193.95%7.52%
199561.13%$37,9772.31%$28,8722.31%1.13%
19957-1.40%$37,4463.30%$29,8263.30%-1.40%
199582.05%$38,2150.25%$29,8990.25%2.05%
199591.81%$38,9084.23%$31,1644.23%1.81%
1995102.97%$40,061-0.36%$31,051-0.36%2.97%
1995114.38%$41,8164.38%$32,4114.38%2.31%
1995121.93%$42,6241.93%$33,0371.93%2.70%
199613.39%$44,0673.39%$34,1563.39%-0.05%
199620.92%$44,4740.92%$34,4710.92%-4.93%
199630.98%$44,9090.98%$34,8080.98%-1.98%
199641.46%$45,5631.46%$35,3151.46%-1.78%
19965-0.46%$45,3542.54%$36,2132.54%-0.46%
199662.14%$46,3220.38%$36,3520.38%2.14%
19967-0.05%$46,299-4.42%$34,745-4.42%-0.05%
19968-1.29%$45,7002.10%$35,4732.10%-1.29%
199692.79%$46,9755.61%$37,4625.61%2.79%
1996103.88%$48,7982.76%$38,4942.76%3.88%
1996117.56%$52,4887.56%$41,4067.56%3.24%
199612-1.96%$51,460-1.96%$40,595-1.96%-2.38%
199716.22%$54,6606.22%$43,1196.22%-0.65%
199720.79%$55,0910.79%$43,4590.79%-0.11%
19973-4.14%$52,813-4.14%$41,662-4.14%-2.29%
199745.96%$55,9585.96%$44,1435.96%2.35%
199750.98%$56,5076.09%$46,8306.09%0.98%
199761.78%$57,5134.45%$48,9164.45%1.78%
199775.34%$60,5817.97%$52,8127.97%5.34%
19978-2.57%$59,022-5.61%$49,850-5.61%-2.57%
199792.63%$60,5765.47%$52,5765.47%2.63%
1997102.99%$62,387-3.35%$50,815-3.35%2.99%
1997114.60%$65,2554.60%$53,1524.60%1.27%
1997121.72%$66,3811.72%$54,0691.72%1.66%
199811.11%$67,1181.11%$54,6691.11%1.91%
199827.19%$71,9457.19%$58,6017.19%-0.75%
199835.10%$75,6175.10%$61,5925.10%0.14%
199841.01%$76,3791.01%$62,2121.01%0.40%
199851.83%$77,780-1.74%$61,128-1.74%1.83%
199862.35%$79,6084.07%$63,6164.07%2.35%
19987-0.51%$79,199-1.05%$62,946-1.05%-0.51%
199884.83%$83,024-14.47%$53,835-14.47%4.83%
199893.29%$85,7526.41%$57,2876.41%3.29%
199810-1.69%$84,2988.16%$61,9648.16%-1.69%
1998116.07%$89,4176.07%$65,7266.07%0.88%
1998125.81%$94,6075.81%$69,5415.81%-0.16%
199914.20%$98,5844.20%$72,4654.20%0.98%
19992-3.12%$95,504-3.12%$70,201-3.12%-4.76%
199934.00%$99,3214.00%$73,0064.00%-0.34%
199943.85%$103,1473.85%$75,8183.85%0.19%
19995-1.68%$101,413-2.39%$74,007-2.39%-1.68%
19996-1.05%$100,3445.56%$78,1195.56%-1.05%
19997-0.58%$99,763-3.13%$75,674-3.13%-0.58%
19998-0.49%$99,275-0.50%$75,298-0.50%-0.49%
199990.91%$100,175-2.74%$73,235-2.74%0.91%
1999100.12%$100,2956.33%$77,8696.33%0.12%
1999112.02%$102,3242.02%$79,4442.02%-0.59%
1999125.98%$108,4415.98%$84,1935.98%-1.60%
20001-5.03%$102,984-5.03%$79,956-5.03%1.25%
20002-1.91%$101,021-1.91%$78,432-1.91%2.96%
200039.75%$110,8729.75%$86,0819.75%3.14%
20004-3.00%$107,548-3.00%$83,499-3.00%-0.66%
20005-0.46%$107,057-2.04%$81,797-2.04%-0.46%
200062.30%$109,5162.49%$83,8382.49%2.30%
200071.49%$111,144-1.50%$82,582-1.50%1.49%
200082.08%$113,4536.19%$87,6946.19%2.08%
20009-0.85%$112,486-5.29%$83,055-5.29%-0.85%
2000101.57%$114,249-0.43%$82,698-0.43%1.57%
200011-7.89%$105,241-7.89%$76,177-7.89%2.99%
2000120.51%$105,7810.51%$76,5680.51%2.45%
200113.55%$109,5313.55%$79,2833.55%0.28%
20012-9.14%$99,522-9.14%$72,038-9.14%1.80%
20013-6.36%$93,196-6.36%$67,459-6.36%-0.60%
200147.77%$100,4387.77%$72,7017.77%-2.56%
200150.21%$100,6440.65%$73,1730.65%0.21%
200160.76%$101,409-2.45%$71,384-2.45%0.76%
200173.61%$105,073-1.00%$70,670-1.00%3.61%
200182.02%$107,199-6.27%$66,236-6.27%2.02%
200190.88%$108,143-8.09%$60,877-8.09%0.88%
2001105.12%$113,6821.90%$62,0311.90%5.12%
2001117.65%$122,3837.65%$66,7797.65%-4.98%
2001120.87%$123,4520.87%$67,3620.87%-1.91%
20021-1.47%$121,634-1.47%$66,370-1.47%1.20%
20022-1.94%$119,279-1.94%$65,085-1.94%1.24%
200233.74%$123,7433.74%$67,5213.74%-3.86%
20024-6.07%$116,226-6.07%$63,419-6.07%3.73%
200250.39%$116,680-0.75%$62,941-0.75%0.39%
200261.76%$118,730-7.13%$58,450-7.13%1.76%
200272.93%$122,207-7.72%$53,939-7.72%2.93%
200284.28%$127,4370.65%$54,2910.65%4.28%
200294.02%$132,554-10.87%$48,387-10.87%4.02%
200210-2.84%$128,7948.78%$52,6368.78%-2.84%
2002115.88%$136,3605.88%$55,7295.88%-0.98%
200212-5.89%$128,325-5.89%$52,445-5.89%4.05%
20031-2.62%$124,957-2.62%$51,068-2.62%-0.45%
20032-1.52%$123,059-1.52%$50,293-1.52%3.03%
200330.96%$124,2370.96%$50,7740.96%-1.13%
200348.25%$134,4918.25%$54,9658.25%0.91%
200355.67%$142,1225.26%$57,8585.26%5.67%
20036-1.48%$140,0111.26%$58,5871.26%-1.48%
20037-8.57%$128,0091.74%$59,6091.74%-8.57%
200381.43%$129,8341.93%$60,7611.93%1.43%
200395.07%$136,413-1.07%$60,109-1.07%5.07%
200310-2.58%$132,8955.64%$63,5005.64%-2.58%
2003110.86%$134,0440.86%$64,0490.86%0.31%
2003125.22%$141,0415.22%$67,3935.22%1.23%
200411.82%$143,6101.82%$68,6201.82%1.74%
200421.38%$145,5881.38%$69,5651.38%1.96%
20043-1.51%$143,384-1.51%$68,512-1.51%1.45%
20044-1.58%$141,123-1.58%$67,432-1.58%-5.52%
20045-0.56%$140,3371.36%$68,3481.36%-0.56%
200460.87%$141,5591.93%$69,6671.93%0.87%
200471.52%$143,705-3.31%$67,360-3.31%1.52%
200483.39%$148,5710.38%$67,6180.38%3.39%
200490.94%$149,9611.07%$68,3391.07%0.94%
2004101.46%$152,1521.51%$69,3741.51%1.46%
2004114.05%$158,3084.05%$72,1814.05%-2.25%
2004123.39%$163,6803.39%$74,6313.39%2.22%
20051-2.45%$159,662-2.45%$72,799-2.45%2.59%
200522.09%$163,0052.09%$74,3232.09%-1.24%
20053-1.76%$160,136-1.76%$73,015-1.76%-0.76%
20054-1.91%$157,075-1.91%$71,619-1.91%3.22%
200552.55%$161,0793.17%$73,8883.17%2.55%
200561.64%$163,7240.13%$73,9820.13%1.64%
20057-2.58%$159,5013.71%$76,7243.71%-2.58%
200582.87%$164,082-0.91%$76,023-0.91%2.87%
20059-2.78%$159,5260.79%$76,6270.79%-2.78%
200510-1.74%$156,752-1.68%$75,340-1.68%-1.74%
2005113.76%$162,6533.76%$78,1773.76%0.57%
2005120.02%$162,6890.02%$78,1940.02%2.33%
200612.65%$166,9922.65%$80,2622.65%-0.90%
200620.26%$167,4310.26%$80,4730.26%0.81%
200631.23%$169,4921.23%$81,4641.23%-3.39%
200641.33%$171,7521.33%$82,5501.33%-1.96%
20065-0.03%$171,701-2.90%$80,159-2.90%-0.03%
200660.71%$172,9130.13%$80,2610.13%0.71%
200671.84%$176,0950.61%$80,7480.61%1.84%
200682.74%$180,9152.36%$82,6562.36%2.74%
200691.58%$183,7702.56%$84,7742.56%1.58%
2006100.77%$185,1833.25%$87,5303.25%0.77%
2006111.89%$188,6811.89%$89,1841.89%1.91%
2006121.39%$191,3061.39%$90,4251.39%-2.14%
200711.49%$194,1631.49%$91,7751.49%-0.85%
20072-1.97%$190,339-1.97%$89,968-1.97%2.93%
200731.11%$192,4551.11%$90,9681.11%-1.13%
200744.42%$200,9584.42%$94,9874.42%0.86%
20075-1.93%$197,0803.48%$98,2893.48%-1.93%
20076-0.88%$195,336-1.68%$96,642-1.68%-0.88%
200772.39%$199,999-3.08%$93,661-3.08%2.39%
200781.97%$203,9461.50%$95,0641.50%1.97%
200790.21%$204,3793.72%$98,6043.72%0.21%
2007101.40%$207,2371.58%$100,1611.58%1.40%
200711-4.19%$198,561-4.19%$95,967-4.19%4.59%
200712-0.70%$197,171-0.70%$95,296-0.70%-0.48%
20081-6.02%$185,310-6.02%$89,563-6.02%2.64%
20082-3.25%$179,285-3.25%$86,651-3.25%0.35%
20083-0.44%$178,495-0.44%$86,269-0.44%1.02%
200844.85%$187,1604.85%$90,4574.85%-1.84%
20085-2.13%$183,1781.29%$91,6261.29%-2.13%
200861.80%$186,473-8.44%$83,895-8.44%1.80%
200870.30%$187,023-0.83%$83,197-0.83%0.30%
200881.80%$190,3991.45%$84,4001.45%1.80%
200890.28%$190,938-8.91%$76,883-8.91%0.28%
200810-3.63%$184,011-16.79%$63,973-16.79%-3.63%
200811-7.17%$170,808-7.17%$59,383-7.17%12.07%
2008121.07%$172,6311.07%$60,0161.07%8.87%
20091-8.41%$158,108-8.41%$54,968-8.41%-8.47%
20092-10.66%$141,259-10.66%$49,110-10.66%-1.01%
200938.76%$153,6338.76%$53,4128.76%5.27%
200949.56%$168,3199.56%$58,5179.56%-4.99%
20095-2.68%$163,8145.62%$61,8055.62%-2.68%
200960.70%$164,9630.22%$61,9400.22%0.70%
200970.80%$166,2837.58%$66,6347.58%0.80%
200981.68%$169,0813.60%$69,0323.60%1.68%
200991.98%$172,4343.72%$71,5983.72%1.98%
200910-1.45%$169,926-1.87%$70,261-1.87%-1.45%
2009115.98%$180,0905.98%$74,4645.98%1.91%
2009121.95%$183,5941.95%$75,9121.95%-5.66%
20101-3.60%$176,978-3.60%$73,177-3.60%2.66%
201023.09%$182,4503.09%$75,4393.09%-0.21%
201036.01%$193,4216.01%$79,9766.01%-1.51%
201041.58%$196,4741.58%$81,2381.58%2.76%
201054.23%$204,789-8.01%$74,734-8.01%4.23%
201064.67%$214,344-5.24%$70,819-5.24%4.67%
20107-0.17%$213,9787.00%$75,7737.00%-0.17%
201087.08%$229,125-4.53%$72,341-4.53%7.08%
20109-1.82%$224,9508.92%$78,7938.92%-1.82%
201010-3.29%$217,5533.79%$81,7783.79%-3.29%
2010110.00%$217,5530.00%$81,7780.00%-1.60%
2010126.67%$232,0676.67%$87,2346.67%-3.58%
201112.36%$237,5372.36%$89,2902.36%-2.38%
201123.42%$245,6523.42%$92,3403.42%1.24%
201130.03%$245,7150.03%$92,3640.03%0.02%
201142.95%$252,9582.95%$95,0872.95%2.04%
201153.29%$261,285-1.15%$93,997-1.15%3.29%
20116-2.00%$256,069-1.67%$92,426-1.67%-2.00%
201174.18%$266,772-2.05%$90,534-2.05%4.18%
201188.68%$289,933-5.45%$85,603-5.45%8.68%
2011910.16%$319,398-7.04%$79,574-7.04%10.16%
201110-3.34%$308,74510.91%$88,25910.91%-3.34%
201111-0.23%$308,024-0.23%$88,053-0.23%1.82%
2011121.02%$311,1581.02%$88,9491.02%3.13%
201214.46%$325,0504.46%$92,9204.46%0.08%
201224.31%$339,0504.31%$96,9224.31%-2.11%
201233.28%$350,1763.28%$100,1023.28%-3.77%
20124-0.64%$347,936-0.64%$99,462-0.64%4.37%
201257.79%$375,033-6.02%$93,476-6.02%7.79%
20126-1.44%$369,6164.11%$97,3174.11%-1.44%
201273.32%$381,8961.37%$98,6511.37%3.32%
20128-1.06%$377,8382.24%$100,8602.24%-1.06%
20129-2.10%$369,9162.58%$103,4582.58%-2.10%
201210-0.43%$368,313-1.86%$101,535-1.86%-0.43%
2012110.56%$370,3750.56%$102,1030.56%1.35%
2012120.90%$373,7170.90%$103,0240.90%-1.99%
201315.18%$393,0625.18%$108,3575.18%-3.27%
201321.34%$398,3241.34%$109,8081.34%1.26%
201333.74%$413,2163.74%$113,9133.74%0.03%
201341.91%$421,1031.91%$116,0871.91%3.87%
20135-6.23%$394,8682.33%$118,7892.33%-6.23%
20136-3.26%$382,012-1.35%$117,185-1.35%-3.26%
20137-1.93%$374,6435.07%$123,1295.07%-1.93%
20138-1.28%$369,843-2.91%$119,544-2.91%-1.28%
201390.88%$373,0943.12%$123,2753.12%0.88%
2013101.32%$378,0324.59%$128,9294.59%1.32%
2013113.03%$389,4813.03%$132,8343.03%-2.49%
2013122.51%$399,2712.51%$136,1732.51%-2.37%
20141-3.47%$385,420-3.47%$131,449-3.47%6.26%
201424.56%$402,9984.56%$137,4444.56%0.60%
201430.82%$406,3180.82%$138,5760.82%0.63%
201440.72%$409,2600.72%$139,5800.72%1.82%
201452.73%$420,4272.33%$142,8392.33%2.73%
20146-0.16%$419,7692.05%$145,7702.05%-0.16%
201470.59%$422,261-1.39%$143,746-1.39%0.59%
201484.23%$440,1163.98%$149,4703.98%4.23%
20149-1.99%$431,372-1.41%$147,358-1.41%-1.99%
2014102.61%$442,6402.42%$150,9292.42%2.61%
2014112.68%$454,5132.68%$154,9782.68%2.86%
201412-0.26%$453,312-0.26%$154,568-0.26%2.82%
20151-3.02%$439,633-3.02%$149,904-3.02%8.97%
201525.74%$464,8665.74%$158,5085.74%-5.66%
20153-1.59%$457,458-1.59%$155,982-1.59%1.13%
201540.95%$461,7990.95%$157,4620.95%-3.07%
20155-2.16%$451,8241.27%$159,4661.27%-2.16%
20156-3.73%$434,985-1.93%$156,384-1.93%-3.73%
201574.21%$453,2882.08%$159,6372.08%4.21%
20158-0.71%$450,051-6.05%$149,984-6.05%-0.71%
201591.91%$458,652-2.48%$146,257-2.48%1.91%
201510-0.48%$456,4568.42%$158,5768.42%-0.48%
2015110.29%$457,7630.29%$159,0300.29%-0.81%
201512-1.59%$450,473-1.59%$156,498-1.59%-0.34%
20161-4.98%$428,055-4.98%$148,709-4.98%5.24%
20162-0.15%$427,433-0.15%$148,493-0.15%2.86%
201636.78%$456,3946.78%$158,5546.78%0.05%
201640.37%$458,0990.37%$159,1470.37%-0.63%
201650.69%$461,2411.78%$161,9841.78%0.69%
201666.57%$491,5580.25%$162,3890.25%6.57%
201672.01%$501,4283.68%$168,3593.68%2.01%
20168-1.00%$496,4140.13%$168,5770.13%-1.00%
20169-1.32%$489,8760.01%$168,5910.01%-1.32%
201610-4.23%$469,145-1.83%$165,501-1.83%-4.23%
2016113.70%$486,4993.70%$171,6233.70%-7.86%
2016121.96%$496,0471.96%$174,9911.96%-0.35%
201711.88%$505,3881.88%$178,2861.88%0.65%
201723.96%$525,4153.96%$185,3513.96%1.57%
201730.10%$525,9410.10%$185,5370.10%-0.59%
201741.02%$531,2961.02%$187,4261.02%1.58%
201751.73%$540,4801.39%$190,0381.39%1.73%
201760.63%$543,9110.61%$191,2000.61%0.63%
20177-0.59%$540,6912.04%$195,1052.04%-0.59%
201783.27%$558,3850.29%$195,6780.29%3.27%
20179-2.27%$545,7142.06%$199,7072.06%-2.27%
201710-0.02%$545,6102.32%$204,3352.32%-0.02%
2017113.06%$562,3023.06%$210,5873.06%0.63%
2017121.10%$568,4991.10%$212,9071.10%1.78%
201815.71%$600,9755.71%$225,0705.71%-3.40%
20182-3.69%$578,771-3.69%$216,754-3.69%-2.89%
20183-2.56%$563,981-2.56%$211,216-2.56%2.75%
201840.37%$566,0860.37%$212,0040.37%-2.04%
201851.79%$576,2452.39%$217,0802.39%1.79%
201860.66%$580,0440.61%$218,3940.61%0.66%
20187-1.28%$572,6123.71%$226,4953.71%-1.28%
201881.18%$579,3963.25%$233,8473.25%1.18%
20189-2.74%$563,5070.55%$235,1440.55%-2.74%
201810-2.82%$547,627-6.85%$219,039-6.85%-2.82%
2018112.03%$558,7252.03%$223,4782.03%1.78%
201812-9.04%$508,215-9.04%$203,275-9.04%5.50%
201918.00%$548,8838.00%$219,5418.00%0.49%
201923.20%$566,4503.20%$226,5683.20%-1.31%
201931.94%$577,4201.94%$230,9561.94%5.47%
201944.04%$600,7554.04%$240,2894.04%-1.88%
201956.65%$640,722-6.36%$224,995-6.36%6.65%
201961.01%$647,1807.03%$240,8197.03%1.01%
201970.22%$648,5901.43%$244,2531.43%0.22%
2019810.68%$717,841-1.59%$240,367-1.59%10.68%
20199-2.62%$699,0411.86%$244,8351.86%-2.62%
201910-1.10%$691,3292.15%$250,1112.15%-1.10%
2019113.62%$716,3583.62%$259,1663.62%-0.39%
2019123.01%$737,8883.01%$266,9553.01%-3.00%
20201-0.05%$737,517-0.05%$266,821-0.05%7.29%
20202-8.24%$676,736-8.24%$244,831-8.24%6.58%
20203-12.37%$593,009-12.37%$214,541-12.37%5.67%
2020412.81%$668,99712.81%$242,03112.81%1.81%
20205-1.67%$657,7934.76%$253,5424.76%-1.67%
202060.40%$660,4321.98%$258,5561.98%0.40%
202074.17%$687,9865.63%$273,1055.63%4.17%
20208-4.71%$655,5737.18%$292,7067.18%-4.71%
202090.78%$660,715-3.81%$281,552-3.81%0.78%
202010-3.19%$639,608-2.67%$274,031-2.67%-3.19%
20201110.94%$709,55310.94%$303,99810.94%1.53%
2020123.84%$736,7923.84%$315,6683.84%-0.95%
20211-1.02%$729,267-1.02%$312,444-1.02%-3.49%
202122.75%$749,3562.75%$321,0512.75%-5.69%
202134.37%$782,1044.37%$335,0824.37%-4.72%
202145.32%$823,7335.32%$352,9175.32%2.37%
Portfolio return and risk metrics
MetricSeasonal ModelBuy & Hold Portfolio
Arithmetic Mean (monthly)1.14%0.97%
Arithmetic Mean (annualized)14.57%12.22%
Geometric Mean (monthly)1.08%0.87%
Geometric Mean (annualized)13.71%10.94%
Volatility (monthly)3.59%4.36%
Volatility (annualized)12.43%15.12%
Downside Deviation (monthly)2.02%2.90%
Max. Drawdown-31.84%-50.97%
US Market Correlation0.500.99
Beta(*)0.400.97
Alpha (annualized)9.01%0.31%
R224.92%97.97%
Sharpe Ratio0.860.57
Sortino Ratio1.450.82
Treynor Ratio (%)26.458.81
Calmar Ratio0.680.94
Active Return2.82%0.05%
Tracking Error14.14%2.19%
Information Ratio0.200.02
Skewness-0.11-0.78
Excess Kurtosis1.302.52
Historical Value-at-Risk (5%)-4.24%-6.94%
Analytical Value-at-Risk (5%)-4.76%-6.21%
Conditional Value-at-Risk (5%)-7.16%-9.97%
Upside Capture Ratio (%)60.6097.58
Downside Capture Ratio (%)25.4996.54
Safe Withdrawal Rate13.29%8.94%
Perpetual Withdrawal Rate9.90%7.63%
Positive Periods272 out of 412 (66.02%)272 out of 412 (66.02%)
Gain/Loss Ratio1.180.91
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndSeasonal ModelBuy & Hold Portfolio
Black Monday PeriodSep 1987Nov 1987-8.19%-29.78%
Asian CrisisJul 1997Jan 1998-2.57%-5.61%
Russian Debt DefaultJul 1998Oct 1998-1.69%-15.38%
Dotcom CrashMar 2000Oct 2002-18.43%-44.82%
Subprime CrisisNov 2007Mar 2009-31.84%-50.97%

Drawdowns for Seasonal Model

Drawdowns for Seasonal Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJun 20101 year 4 months2 years 8 months-31.84%
2Jan 2020Mar 20203 monthsFeb 202111 months1 year 2 months-19.63%
3Nov 2000Mar 20015 monthsNov 20018 months1 year 1 month-18.43%
4Feb 2018Dec 201811 monthsMay 20195 months1 year 4 months-15.43%
5May 2013Aug 20134 monthsJul 201411 months1 year 3 months-12.17%
6Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-11.43%
7Jun 2003Jul 20032 monthsJan 20046 months8 months-9.93%
8Apr 1987Nov 19878 monthsJan 19882 months10 months-9.93%
9Dec 2002Feb 20033 monthsMay 20033 months6 months-9.75%
10Mar 2015Feb 20161 yearJun 20164 months1 year 4 months-8.05%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodSeasonal ModelBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year13.87%46.88%-21.21%11.38%56.19%-43.32%
3 years13.49%33.89%-5.51%10.56%32.68%-16.14%
5 years13.35%28.52%-0.60%10.21%28.49%-6.73%
7 years13.24%21.97%2.45%9.92%21.51%-3.94%
10 years13.35%21.51%3.99%9.46%19.37%-3.51%
15 years12.54%18.34%8.92%8.15%13.56%3.64%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceSeasonal ModelBuy & Hold Portfolio
70May 2021May 20211Please sign-in for forward signals---
69Nov 2020Apr 20216100.00% Vanguard 500 Index Investor (VFINX)VFINX: 28.79%28.79%28.79%
68May 2020Oct 20206100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -4.39%-4.39%13.22%
67Nov 2019Apr 20206100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.23%-3.23%-3.23%
66May 2019Oct 20196100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 15.08%15.08%4.09%
65Nov 2018Apr 20196100.00% Vanguard 500 Index Investor (VFINX)VFINX: 9.70%9.70%9.70%
64May 2018Oct 20186100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.26%-3.26%3.32%
63Nov 2017Apr 20186100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.75%3.75%3.75%
62May 2017Oct 20176100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.69%2.69%9.02%
61Nov 2016Apr 20176100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.25%13.25%13.25%
60May 2016Oct 20166100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.41%2.41%3.99%
59Nov 2015Apr 20166100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.36%0.36%0.36%
58May 2015Oct 20156100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.16%-1.16%0.71%
57Nov 2014Apr 20156100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.33%4.33%4.33%
56May 2014Oct 20146100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.16%8.16%8.13%
55Nov 2013Apr 20146100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.26%8.26%8.26%
54May 2013Oct 20136100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -10.23%-10.23%11.06%
53Nov 2012Apr 20136100.00% Vanguard 500 Index Investor (VFINX)VFINX: 14.33%14.33%14.33%
52May 2012Oct 20126100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.86%5.86%2.08%
51Nov 2011Apr 20126100.00% Vanguard 500 Index Investor (VFINX)VFINX: 12.69%12.69%12.69%
50May 2011Oct 20116100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 22.05%22.05%-7.18%
49Nov 2010Apr 20116100.00% Vanguard 500 Index Investor (VFINX)VFINX: 16.27%16.27%16.27%
48May 2010Oct 20106100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.73%10.73%0.67%
47Nov 2009Apr 20106100.00% Vanguard 500 Index Investor (VFINX)VFINX: 15.62%15.62%15.62%
46May 2009Oct 20096100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.96%0.96%20.07%
45Nov 2008Apr 20096100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.53%-8.53%-8.53%
44May 2008Oct 20086100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.68%-1.68%-29.28%
43Nov 2007Apr 20086100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.69%-9.69%-9.69%
42May 2007Oct 20076100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.12%3.12%5.45%
41Nov 2006Apr 20076100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.52%8.52%8.52%
40May 2006Oct 20066100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.82%7.82%6.03%
39Nov 2005Apr 20066100.00% Vanguard 500 Index Investor (VFINX)VFINX: 9.57%9.57%9.57%
38May 2005Oct 20056100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.21%-0.21%5.20%
37Nov 2004Apr 20056100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.24%3.24%3.24%
36May 2004Oct 20046100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.81%7.81%2.88%
35Nov 2003Apr 20046100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.19%6.19%6.19%
34May 2003Oct 20036100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.19%-1.19%15.53%
33Nov 2002Apr 20036100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.42%4.42%4.42%
32May 2002Oct 20026100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.81%10.81%-17.00%
31Nov 2001Apr 20026100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.24%2.24%2.24%
30May 2001Oct 20016100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.19%13.19%-14.68%
29Nov 2000Apr 20016100.00% Vanguard 500 Index Investor (VFINX)VFINX: -12.09%-12.09%-12.09%
28May 2000Oct 20006100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.23%6.23%-0.96%
27Nov 1999Apr 20006100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.23%7.23%7.23%
26May 1999Oct 19996100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.76%-2.76%2.70%
25Nov 1998Apr 19996100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.36%22.36%22.36%
24May 1998Oct 19986100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.37%10.37%-0.40%
23Nov 1997Apr 19986100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.43%22.43%22.43%
22May 1997Oct 19976100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.49%11.49%15.11%
21Nov 1996Apr 19976100.00% Vanguard 500 Index Investor (VFINX)VFINX: 14.67%14.67%14.67%
20May 1996Oct 19966100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.10%7.10%9.00%
19Nov 1995Apr 19966100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.73%13.73%13.73%
18May 1995Oct 19956100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 14.70%14.70%14.38%
17Nov 1994Apr 19956100.00% Vanguard 500 Index Investor (VFINX)VFINX: 10.40%10.40%10.40%
16May 1994Oct 19946100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.43%-2.43%6.27%
15Nov 1993Apr 19946100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.39%-2.39%-2.39%
14May 1993Oct 19936100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.29%11.29%7.72%
13Nov 1992Apr 19936100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.54%6.54%6.54%
12May 1992Oct 19926100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.18%8.18%2.37%
11Nov 1991Apr 19926100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.23%7.23%7.23%
10May 1991Oct 19916100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.09%7.09%6.17%
9Nov 1990Apr 19916100.00% Vanguard 500 Index Investor (VFINX)VFINX: 25.39%25.39%25.39%
8May 1990Oct 19906100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.48%6.48%-6.44%
7Nov 1989Apr 19906100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.28%-1.28%-1.28%
6May 1989Oct 19896100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 12.75%12.75%11.70%
5Nov 1988Apr 19896100.00% Vanguard 500 Index Investor (VFINX)VFINX: 12.85%12.85%12.85%
4May 1988Oct 19886100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.35%7.35%8.65%
3Nov 1987Apr 19886100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.38%5.38%5.38%
2May 1987Oct 19876100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.88%-0.88%-11.58%
1Jan 1987Apr 19874100.00% Vanguard 500 Index Investor (VFINX)VFINX: 19.92%19.92%19.92%